The perturbed compound Poisson risk process with investment and debit interest

DOI10.1007/s11009-008-9109-zzbMath1231.91255OpenAlexW2086359473MaRDI QIDQ708784

Chun-Wei Wang, Chuan-Cun Yin

Publication date: 14 October 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9109-z

zbMATH Keywords

asymptoticcompound Poisson processstochastic Dirichlet problemexpected discounted penalty functiondefective renewal equationsabsolute ruindebit interest

Mathematics Subject Classification ID

Related Items (34)

Adaptive gradient-based iterative algorithm for multivariable controlled autoregressive moving average systems using the data filtering technique ⋮ Optimal investment and premium control for insurers with ambiguity ⋮ Recursive parameter estimation algorithm for multivariate output-error systems ⋮ Hierarchical least squares parameter estimation algorithm for two-input Hammerstein finite impulse response systems ⋮ The modified extended Kalman filter based recursive estimation for Wiener nonlinear systems with process noise and measurement noise ⋮ Maximum likelihood least squares‐based iterative methods for output‐error bilinear‐parameter models with colored noises ⋮ Parameter identification of a nonlinear radial basis function‐based state‐dependent autoregressive network with autoregressive noise via the filtering technique and the multiinnovation theory ⋮ A recursive parameter estimation algorithm for modeling signals with multi-frequencies ⋮ Recursive identification of errors-in-variables systems based on the correlation analysis ⋮ Hierarchical extended least squares estimation approaches for a multi-input multi-output stochastic system with colored noise from observation data ⋮ An extension of Paulsen-Gjessing's risk model with stochastic return on investments ⋮ State space model identification of multirate processes with time-delay using the expectation maximization ⋮ Gradient-based iterative identification method for multivariate equation-error autoregressive moving average systems using the decomposition technique ⋮ Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency ⋮ On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest ⋮ On the absolute ruin in a MAP risk model with debit interest ⋮ Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance ⋮ Ruin probabilities under capital constraints ⋮ Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves ⋮ Maximum likelihood recursive least squares estimation for multivariate equation-error ARMA systems ⋮ Auxiliary model based recursive generalized least squares identification algorithm for multivariate output-error autoregressive systems using the decomposition technique ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Gradient estimation algorithms for the parameter identification of bilinear systems using the auxiliary model ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ The filtering based auxiliary model generalized extended stochastic gradient identification for a multivariate output-error system with autoregressive moving average noise using the multi-innovation theory ⋮ Data filtering based maximum likelihood gradient estimation algorithms for a multivariate equation-error system with ARMA noise ⋮ Highly computationally efficient state filter based on the delta operator ⋮ Combined estimation of the parameters and states for a multivariable state‐space system in presence of colored noise ⋮ Separable multi‐innovation stochastic gradient estimation algorithm for the nonlinear dynamic responses of systems ⋮ Hierarchical recursive generalized extended least squares estimation algorithms for a class of nonlinear stochastic systems with colored noise ⋮ Maximum likelihood iterative identification approaches for multivariable equation-error moving average systems ⋮ Data filtering-based parameter and state estimation algorithms for state-space systems disturbed by coloured noises ⋮ Recursive identification for multivariate autoregressive equation-error systems with autoregressive noise

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function
• Subexponential distributions and characterizations of related classes
• Ruin theory with compounding assets -- a survey
• On the distribution of the surplus of the D-E model prior to and at ruin
• The effect of interest on negative surplus
• On the expected discounted penalty function at ruin of a surplus process with interest.
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Simple approximations of ruin probabilities
• Distributions for the risk process with a stochastic return on investments.
• Ruin estimates under interest force
• Ruin probabilities and penalty functions with stochastic rates of interest
• On the time value of absolute ruin with debit interest
• Subexponential distributions and integrated tails
• Martingales and insurance risk
• Ruin estimation for a general insurance risk model
• Total Duration of Negative Surplus for the Risk Process with Constant Interest Force
• Ruin in the perturbed compound Poisson risk process under interest force
• On the Time Value of Ruin

This page was built for publication: The perturbed compound Poisson risk process with investment and debit interest